Well the only 'dangers' that could be in a head would come from the insulator when it gets heated, the silica and the kanthal wire. This is assuming you wash the heads when new to remove the machining oils!
Ideally the insulator shouldn't be heating up at all, but we all know there are those occasions when it does, so it would be nice if the rubber grommets were eventually replaced with high quality silicone grommets that have a higher heat resistance -- and also silicone is inert, so no off gassing.
Silica doesn't release chemicals but some say there is a potential for releasing tiny silica motes that could collect in the lungs and cause problems in the long run. I switched to organic cotton because silica irritates my throat and because cotton gives better flavor, wicks better, creates better vapor, and I prefer staying organic and natural where possible.
Then the kanthal.... I am no chemist and can't attest to whether or not there is any danger of inhaling vapor off heated metallic wire, but some have thrown it out there as a potential downside. Again all paling against smoking.
Last night I rebuilt the same [new] head that's been giving me problems but washed it first in rubbing alcohol per TarFreeMe's advice (since I had no PGA or vodka). And it did completely get rid of the mechanical oils which was nice, and that's becoming part of my routine now.

After a few primer puffs I did get the nasty grommetty taste but I notice sometimes when dry-burning a new coil I've made one leg seems to heat up and I get a faint bit of what looks like smoke from the insulator that stinks like the grommet, but the process "rights the coil" somehow, and subsequent dry-burns are good. So knowing that, I continued to take primer puffs, not inhaling, and the coil did seem to right itself. So far no more bad taste, and the vapor and flavor is good. Won't know until tonight for sure as I don't do much vaping until evening.
Don't give up hope.

There is an answer to this.... the learning curve is just a little... time consuming! And I am convinced that manuf's should replace the nasty rubber grommet with a silicone grommet. I'd gladly pay a few more pennies per head for this improvement, which is all it would be.